Save this as a regular text file, from within your favorite text editor, such as gedit, leafpad, eclipse, or alike...

Code:

#!/bin/bash
iptables-save | awk '/^[*]/ { print $1 } 
                     /^:[A-Z]+ [^-]/ { print $1 " ACCEPT" ; }
                     /COMMIT/ { print $0; }' | iptables-restore
sleep 3;
exit 0

Right click the file, open properties, switch the register and set 'execute' flag to actvie (or to all users).

Since a regular user, cannot save a script in /usr/bin, (or just /bin), you either can do:

Code:

sudo cp ./myscript /usr/bin/

OR
# Assuming the file and you are in your $HOME directory

Code:

mv ./myscript ./bin

Once copied, it's 'public' (on your computer) availble, and can be executed like:

Code:

sudo myscript

If you have moved the file to your custom bin folder ($HOME/bin is a default location), you have to call it like:

Code:

sudo $(which myscript)

sudo su is unnesecary and not recomended.

hth


EDIT:
Or within the script, simply:

Code:

sudo iptables-save | awk '......